After killing zombies in Borderlands with a scoped revolver, I went out and bought myself a Taurus revolver with 2" barrel in blue steel. Funny thing is, I never liked revolvers until Borderlands came out and I used one to headshot zombies...
Its not very big, which is the whole point. I got a concealed carry permit so I can pack it around loaded and nobody will ever be able to tell I've got it.
But if they are crazy C.O.D. type zombies, probably this: